<t>It really depends what you'll use the volatility figures for. If it's to mark to market an existing position, then you have to assume some king of interpolation / extrapolation from the latest reliable market data. If it's to generate fair values that you use for trading it can be more dangerous ...

<t>Sometimes what is being referred to as "Vol Arb" is actually not an arbitrage in the sense that it is not a riskless profit. Most entities doing volatility arbitrage use systematic ways of trading volatility with the help of signals relying on statistical methods. So it is actually closer to "Sta...

Not sure about free data here, but if you have access to a Bloomberg terminal you can download historical data using the API in an Excel spreadsheet / csv file. Alternatively you could use Reuters. You can also check Yahoo / Google Finance, not sure the have anything more than stock data.

<t>First How can you find cheap ITM calls ?Then, even if you use puts, you need to think about what Gamma / Theta position you wanna be holding, even if you are right about volatility going up while spot goes down you might bleed all the profit away in the form of time decay if the stock doesn't go ...

<t>I think your methodology makes sense, although I think statistical significance is less important than determining exit strategy. I understand that you arbitrarily choose +/-5% for exit and 1000 for the number of times you run the strategy, but you might try to play around with those values say u...